If you have a countrycode activeDropDownList in your form with 'countryCode' as key, but you have to save the countrycode and the countryname in your model you can use this method in the controllers create/update action like this:

//$countryName is the countryname from countrycode 'AT' in german$countryName = ECountryCodes::getCountryValue('countryCode','AT','countryName','de');
//In the controller$model->countrycode = $_POST['Address']['countryCode']; //submitted from the activeDropDownList$model->countryname = ECountryCodes::getCountryValue('countryCode',$model->countrycode,'countryName');
//If Yii::app()->language is a 2 letter ISO-639-1 language code//you can add this as parameter language too.

version 2.0
New: Based on extension 'egeonameservice'
Cancelled download from http://opencountrycodes.appspot.com because it only supports countrycode/name in english. Thanks to tonydspaniard for the component egeonameservice ... and ianare for his comment ;-)